融资融券保证金机制与股价特质性波动

发布时间：2018-06-05 23:50

本文选题：融资融券 + 信用交易　；参考：《商业研究》2017年03期

【摘要】：本文使用2010年至2015年中国A股市场数据,研究融资融券制度的保证金机制对股价特质性波动的影响。研究发现:在非极端市场环境下,融资融券制度的保证金机制有可能放大市场中股票的特质性波动,具体表现:对于特质性波动水平较高的股票,融资融券交易能够显著放大其特质性波动;对于特质性波动水平较低的股票,融资融券交易并不会显著放大其特质性波动。这一结论在分别检验了融资交易和融券交易的影响后依然成立。
[Abstract]:Based on the data of China A-share market from 2010 to 2015, this paper studies the influence of margin mechanism of margin system on the volatility of stock price. The study found that in the non-extreme market environment, margin mechanism of margin system may amplify the idiosyncratic volatility of stocks in the market, in particular, for stocks with high level of idiosyncratic volatility, Margin trading can significantly amplify its idiosyncratic volatility; for stocks with low level of idiosyncratic volatility, margin trading does not amplify its idiosyncratic volatility. This conclusion is still true after examining the effects of margin trading and margin trading respectively.
【作者单位】：中国人民大学财政金融学院;中国人民大学金融与证券研究所;
【基金】：中国人民大学科学研究基金项目(中央高校基本科研业务费专项资金资助);项目编号:16XNH007
【分类号】：F832.51

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